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LOS b: Evaluate the use of maximum drawdown and value-at-risk as tools for measuring risks of hedge funds.
Q1. Which of the following most accurately describes the distribution of hedge fund returns? Hedge fund returns:
A) have fat tails in the distribution.
B) are lognormally distributed.
C) are normally distributed.
Q2. Which of the following most accurately describes the maximum drawdown measure of risk? Maximum drawdown is the:
A) ratio of the portfolio’s expected return to some measure of risk.
B) largest percentage decrease in value from peak to valley.
C) ratio of excess return to risk using the minimum acceptable portfolio return.
Q3. Which of the following least accurately describes shortcomings of the VaR measure of risk? VaR typically:
A) does not provide the probability of a loss.
B) assumes that component risks are additive.
C) assumes that the left hand side returns are normally distributed. | 
发表于 2009-3-10 14:25
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